Quantitative Analysis.
Trading Platform.
Python for Excel.
Author.

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I.Basic math.
II.Pricing and Hedging.
1.Basics of derivative pricing I.
2.Change of numeraire.
3.Basics of derivative pricing II.
4.Market model.
5.Currency Exchange.
A.Change of numeraire in the currency markets.
B.Invariant form of the SDE transformation formula.
C.Delta hedging in the currency markets.
D.Example: forward contract to purchase a foreign stock for domestic currency.
E.Example: forward currency exchange contract.
F.Example: quanto forward contract.
G.Example: quanto caplet.
H.Example: quanto fixed-for-floating swap.
6.Credit risk.
7.Incomplete markets.
III.Explicit techniques.
IV.Data Analysis.
V.Implementation tools.
VI.Basic Math II.
VII.Implementation tools II.
Bibliography.
Forum Notation Index Contents

Example: quanto forward contract.

he contract pays $S_{T}^{\U{a3}}$ units of the dollar at the time $T$. The dollar value of the contract is MATH On $\U{a3}$-market the risk neutral equation for the stock is MATH We change the numeraireMATH Hence,MATH is a MATH-martingale. Indeed,MATH We haveMATH

Hence,MATH Without more assumptions we cannot go further. If the volatilities and rates are deterministic thenMATH





Forum Notation Index Contents


















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